Study: Buy KAJARIACER when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy KAJARIACER when there is bullish divergence in RSI and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy KAJARIACER at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
13704.04149564.293401.9910015.98-5382.77-8546.270.631.140.01264.57
26565.041477506716.2620564.73-5778.39-14908.421.161.160.012468.93
3-6292.821477509550.0422695.79-10449.01-24395.60.910.91-0.0075-449.49
418685.1914775014608.9538864.63-11939.64-25091.581.221.220.0171334.66
553859.58146842.8626897.2986899.56-13440.52-25073.2621.50.0293847.11
688677.11146842.8629807.61103493-11271.07-24798.532.641.980.0436334.08
768733.31145935.7128868.5376419.21-8401.04-26208.793.441.910.0414909.52
846225.11145935.7127861.6774235.81-10342.58-29578.752.691.50.0283301.79
916886.94146842.8619240.555895.2-12319.51-18076.921.561.170.0131206.21
1057520.0614775020245.9561572.05-12028.8-18021.981.681.680.0414108.58
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail-19.1475376.4714775020495.4186880.03-9727.34-19304.242.112.110.0455384.03
atrtrail27.9336609.2514775014957.2329903.08-9727.34-19304.241.541.540.0372614.95
atrtrail38.6431267.8214775014194.1736980.09-9727.34-19304.241.461.460.0322233.42
atrnil233-33053.27124833.3322355.429903.08-15309.36-63666.071.460.73-0.024-2754.44
atrnil337.25-48148.6312392529759.2736980.09-15269.6-63666.071.950.65-0.034-4012.39

In the table above, row 1 shows the best exit criterion. Profit factor is 2.11. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.69%, which is very good. Sharpe Ratio is 0.045, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KAJARIACER Performance, Profit Factor:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Aug 2019 (3.12%)
2018508 Feb 2018 (-2.26%), 16 Feb 2018 (-3.57%), 13 Jul 2018 (-3.11%), 17 Jul 2018 (-3.38%), 09 Oct 2018 (2.51%)
2016109 Nov 2016 (-5.03%)
2011125 Nov 2011 (6.18%)
2007407 Mar 2007 (-7.03%), 12 Mar 2007 (-9.65%), 03 Apr 2007 (6.93%), 18 Jun 2007 (43.44%)
2005131 Oct 2005 (2.0%)
1997113 Jun 1997 (7.54%)



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